Check out the quadprog package.
On Sat, Apr 10, 2010 at 5:36 PM, li li <hannah....@gmail.com> wrote:
> Hi, thanks for the reply.
> A will be a given matrix satisfying condition 1. I want to find the
> vector w that minimizes the
> quadratic form. w satisfies condition 2.
>
>
> 2010/4/10 Paul Smith <phh...@gmail.com>
>
>> On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith <phh...@gmail.com> wrote:
>> >> I am trying to minimize the quardratic form w'Aw, with certain
>> >> constraints.
>> >> In particular,
>> >> (1) A=(a_{ij}) is n by n matrix and it is symmetric positive
>> definite,
>> >> a_{ii}=1 for all i;
>> >> and 0<a_{ij}<1 for i not equal j.
>> >> (2) w'1=n;
>> >> (3) w_{i}>=0
>> >>
>> >> Analytically, for n=2, it is easy to come up with a result. For larger
>> n, it
>> >> seems
>> >> difficult to obtain the result.
>> >>
>> >> Does any one know whether it is possible to use R to numerically compute
>> it?
>> >
>> > And your decision variables are? Both w[i] and a[i,j] ?
>>
>> In addition, what do you mean by "larger n"? n = 20 is already large
>> (in your sense)?
>>
>> Paul
>>
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>
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>
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